The Comonotonic Sure-Thing Principle

Chew Soo Hong and Peter Wakker

Journal of Risk and Uncertainty, 1996, vol. 12, issue 1, 5-27

Abstract: This article identifies the common characterizing property, the comonotonic sure-thing principle, that underlies the rank-dependent direction in non-expected utility. This property restricts Savage's sure-thing principle to comonotonic acts, and is characterized in full generality by means of a new functional form--cumulative utility--that generalizes the Choquet integral. Thus, a common generalization of all existing rank-dependent forms is obtained, including rank-dependent expected utility, Choquet expected utility, and cumulative prospect theory. Copyright 1996 by Kluwer Academic Publishers

Date: 1996
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